FXI Options History — October 2007

In October 2007, FXI traded between $59.82 and $72.84. ATM implied volatility averaged 56.5%, placing in the 82.1% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 8.7% (HV 20d: 47.8%). Max pain ranged from $53.33 to $63.33. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.23.

Notable Days

2007-10-17: Highest Volume — 238,830 contracts
2007-10-11: Largest IV spike — 26.3% change
2007-10-11: Highest IV Rank — 100.0%
2007-10-19: Largest Expected Move — 20.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.76	$59.82	$72.84	$61.75	$72.84
Max Pain	$59.29	$53.33	$63.33	$56.00	$63.33
ATM IV	56.5%	46.6%	71.1%	46.6%	55.8%
Expected Move	16.3%	13.4%	20.4%	13.4%	16.0%
HV 20d	47.8%	31.1%	60.4%	31.1%	55.9%
HV 60d	49.3%	44.4%	52.7%	44.4%	51.7%
IV Rank	82.1%	63.1%	100.0%	69.3%	68.5%
IV Percentile	96.6%	90.7%	100.0%	93.6%	94.3%
Term Structure	-1.1%	-6.0%	2.8%	1.8%	1.4%
VWIV	58.0%	48.0%	71.9%	48.0%	57.7%
Skew 25d	4.4%	1.6%	7.8%	5.7%	3.2%
Skew 10d	8.9%	2.1%	16.8%	10.1%	5.8%
Call IV 25d	55.5%	44.6%	71.3%	44.6%	54.9%
Put IV 25d	60.0%	50.3%	73.3%	50.3%	58.0%
Bid-Ask Spread %	36.40	16.56	66.77	31.70	19.24
Gamma HHI	0.09	0.05	0.65	0.06	0.08
Net GEX	2.3M	-97.3M	26.1M	-352.8K	5.6M
Net DEX	-1.74B	-3.02B	-1.06B	-1.31B	-1.87B
Net VEX	-6.7M	-7.9M	-5.7M	-5.7M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.40	3.09	0.71	1.12
Total Volume	102,541.957	34,509	238,830	118,671	93,726
Total OI	1,221,335.478	1,022,538	1,565,634	1,027,932	1,176,648

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-10-01	$61.75	$56.00	46.6%	13.4%	31.1%	69.3%	48.0%	5.7%	1.8%	-352.8K	-1.31B	-5.7M	0.71	31.70	69,516	49,155	386,349	641,583
2007-10-02	$63.16	$57.33	50.3%	14.4%	31.4%	80.0%	51.3%	6.1%	-0.1%	2.9M	-1.54B	-5.9M	0.40	33.47	100,077	40,197	425,664	656,286
2007-10-03	$59.82	$57.33	54.8%	15.7%	36.9%	93.0%	56.1%	5.0%	2.0%	-2.2M	-1.06B	-7.0M	1.09	25.56	55,752	60,600	473,973	673,089
2007-10-04	$60.40	$57.67	53.2%	15.3%	36.9%	88.5%	55.5%	6.2%	1.7%	-2.4M	-1.12B	-6.9M	0.97	16.56	38,010	36,819	474,990	698,358
2007-10-05	$63.87	$53.33	47.7%	14.4%	38.0%	72.5%	49.7%	7.6%	-1.6%	8.4M	-1.68B	-6.2M	0.75	27.55	59,640	44,472	480,510	709,638
2007-10-08	$62.40	$54.33	53.0%	15.4%	40.2%	87.8%	54.1%	7.8%	-3.5%	4.3M	-1.45B	-6.5M	0.82	28.57	25,659	20,943	490,071	725,631
2007-10-09	$63.97	$55.00	48.5%	14.5%	40.4%	74.8%	52.4%	6.6%	-2.3%	11.2M	-1.76B	-6.1M	1.11	31.44	29,148	32,328	491,847	732,018
2007-10-10	$64.11	$56.33	46.7%	14.4%	40.6%	69.7%	51.3%	6.3%	-2.7%	13.2M	-1.80B	-6.0M	0.54	37.92	36,891	19,998	498,519	738,222
2007-10-11	$64.17	$56.33	59.0%	16.9%	40.7%	100.0%	59.6%	5.8%	-5.4%	13.3M	-1.78B	-6.4M	1.08	36.28	93,675	101,388	513,492	738,447
2007-10-12	$67.63	$58.33	54.3%	15.6%	43.3%	86.8%	56.4%	6.1%	-3.0%	17.9M	-2.26B	-6.2M	1.07	25.20	58,791	62,829	532,902	795,516
2007-10-15	$67.65	$59.67	60.4%	17.3%	42.8%	100.0%	62.2%	6.1%	-4.3%	18.6M	-2.30B	-6.4M	1.29	38.59	48,459	62,295	557,118	825,144
2007-10-16	$66.35	$60.00	63.3%	18.1%	41.5%	100.0%	64.5%	5.3%	-5.3%	11.8M	-2.02B	-6.7M	3.09	35.31	31,221	96,618	559,245	839,268
2007-10-17	$72.83	$60.00	67.1%	19.2%	50.9%	100.0%	69.3%	4.1%	-6.0%	18.6M	-3.02B	-6.1M	1.01	43.89	118,731	120,099	565,095	889,824
2007-10-18	$70.83	$60.67	66.9%	19.2%	52.7%	99.6%	67.9%	2.1%	-4.0%	26.1M	-2.76B	-6.5M	1.37	23.81	50,610	69,240	593,937	936,438
2007-10-19	$66.43	$61.33	71.1%	20.4%	59.0%	100.0%	71.9%	2.0%	-3.5%	-97.3M	-1.71B	-7.1M	1.15	37.74	91,743	105,885	595,764	969,870
2007-10-22	$67.17	$61.67	61.2%	17.5%	58.5%	79.6%	61.7%	1.7%	-0.4%	-3.5M	-1.20B	-7.1M	1.06	49.69	41,253	43,899	404,643	617,895
2007-10-23	$70.01	$61.67	58.2%	16.7%	59.7%	73.4%	58.4%	3.5%	1.2%	747.6K	-1.51B	-7.0M	0.63	58.15	50,502	31,809	416,235	632,685
2007-10-24	$68.83	$61.67	58.4%	16.7%	60.4%	73.8%	59.3%	1.8%	1.7%	459.4K	-1.46B	-7.4M	1.86	37.70	21,147	39,381	440,817	645,759
2007-10-25	$69.20	$61.67	56.7%	16.2%	59.6%	70.2%	57.5%	1.6%	2.0%	-863.9K	-1.46B	-7.5M	2.58	50.79	17,046	43,926	436,419	672,594
2007-10-26	$69.77	$63.33	53.2%	15.3%	59.3%	63.1%	53.9%	1.6%	2.8%	1.1M	-1.55B	-7.5M	1.07	63.32	16,701	17,808	440,259	690,063
2007-10-29	$71.76	$63.33	53.6%	15.4%	59.2%	63.8%	55.1%	2.3%	2.4%	4.7M	-1.77B	-7.3M	1.70	66.77	25,320	42,984	443,322	693,591
2007-10-30	$70.47	$63.33	58.7%	16.8%	59.6%	74.3%	60.5%	3.7%	-0.6%	562.5K	-1.57B	-7.9M	1.88	17.94	14,667	27,507	450,141	720,837
2007-10-31	$72.84	$63.33	55.8%	16.0%	55.9%	68.5%	57.7%	3.2%	1.4%	5.6M	-1.87B	-7.6M	1.12	19.24	44,139	49,587	450,522	726,126